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  <meta content="text/html; charset=UTF8" http-equiv="content-type"><title>Start Page</title></head><body>
<form name="para" action="/market_risk/simulate.jsp" method="post">
  <table style="text-align: left; width: 100%; height: 100%;" border="1" cellpadding="2" cellspacing="2">
    <tbody>
      <tr>
        <td colspan="5" rowspan="1" style="vertical-align: top; text-align: center;">
        <h1><span style="font-weight: bold;">Integrated Risk Simulation
Model</span></h1>
        </td>
        <td style="vertical-align: top;"><img style="width: 132px; height: 132px;" alt="Risk" src="bankrisk_h.png"><br>
        </td>
      </tr>
      <tr>
        <td colspan="6" rowspan="1" style="vertical-align: top;">
        <h3>Simulation Configuration <br>
        </h3>
        </td>
      </tr>
      <tr>
        <td style="vertical-align: top; font-weight: bold;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
      </tr>
      <tr>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Step 1, here we can set up basic parameters.')">Step
1:
Basic Setup<br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Step 2, set up some exposures of FX, interest rates and stock market')">Step
2:
Initial Setting for Risk Scenario<br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Step 3, set up parameters of scenarios, data sources and UI')">Step
3:
Simulation Configuration<br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
      </tr>
      <tr>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Target bank')">Bank<br>
        </td>
        <td style="vertical-align: top;">
        <select name="Bank">
        <option value="boc">Bank of China</option>
        <option value="bea">Bank of East Asia</option>
        <option value="ccb">China Construction Bank</option>
        </select>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'FX exposures')">Foreign
Exchange Exposure(HKD)
        </td>
        <td style="vertical-align: top;">&nbsp;<input name="fxexp" value="0"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;"><input checked="checked" name="shockratecheckbox" onclick="chkOper(this)" onmouseover="showhint(this, 'Securities shock rate')" type="checkbox">Stock Markets
Shock Rate </td>
        <td style="vertical-align: top;"><input value="0.8" name="shock_rate" id="shock_rate"></td>
      </tr>
      <tr>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Target country or area')">Country/
Area<br>
        </td>
        <td style="vertical-align: top;">
        <select name="country">
        <option value="hk">Hong Kong</option>
        </select>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Interest rate exposures')">Interest
Rate Exposure(HKD)
        </td>
        <td style="vertical-align: top;"><input name="irexp" value="0"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Securities shock frequency')">Stock Markets Shock Frequency </td>
        <td style="vertical-align: top;" onmouseover="showhint(this, 'Securities shock frequency')"><input name="shockfreq" value="1">day </td>
      </tr>
      <tr>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Number of bank')">Number
of
Bank<br>
        </td>
        <td style="vertical-align: top;">
        <select name="numberofbank" value="3">
        <option>1</option>
        <option>2</option>
        <option>3</option>
        <option>4</option>
        <option>5</option>
        </select>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Stock exposure')">Stock
Exposure(HKD)
        </td>
        <td style="vertical-align: top;"><input name="stockexp" value="0"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;"><input checked="checked" name="shockratecheckbox" onclick="chkOper(this)" onmouseover="showhint(this, 'Unexpected loss rate')" type="checkbox">Unexpected
Loss Rate </td>
        <td style="vertical-align: top;"><input value="0.8" name="loss_rate" id="loss_rate"> </td>
      </tr>
      <tr>
        <td style="vertical-align: top; font-weight: bold;">Capital Reserve
        </td>
        <td style="vertical-align: top;"><input name="capitalreserve" value="0">
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'FX exposures')">Foreign
Currency (%): <br>
USD/EUR/JPY/GBP/<br>
CNY/AUD/NZD/CAD</td>
        <td style="vertical-align: top;"><input name="fxusd" id="fxusd" size="5" value="12.5">%<input name="fxeur" id="fxeur" size="5" value="12.5">%<input name="fxjpy" id="fxjpy" size="5" value="12.5">%<input name="fxgbp" id="fxgbp" size="5" value="12.5">%<input id="fxcny" name="fxcny" size="5" value="12.5">%<input id="fxaud" name="fxaud" size="5" value="12.5">%<input id="fxnzd" name="fxnzd" size="5" value="12.5">%<input id="fxcad" name="fxcad" size="5" value="12.5">%</td>

        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Loss frequency')">Loss
Frequency</td>
        <td style="vertical-align: top;" onmouseover="showhint(this, 'Unexpected loss frequency')">Every <input name="lossfreq" value="1">day</td>
      </tr>
      <tr>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Interest rate exposures')">Interest
Rates (%): <br>
USD/EUR/JPY/GBP/<br>
CNY/AUD/NZD/CAD</td>
        <td style="vertical-align: top;"><input id="irusd" name="irusd" size="5" value="12.5">%<input id="ireur" name="ireur" size="5" value="12.5">%<input id="irjpy" name="irjpy" size="5" value="12.5">%<input id="irgbp" name="irgbp" size="5" value="12.5">%<input id="ircny" name="ircny" size="5" value="12.5">%<input id="iraud" name="iraud" size="5" value="12.5">%<input id="irnzd" name="irnzd" size="5" value="12.5">%<input id="ircad" name="ircad" size="5" value="12.5">%</td>

        <td style="vertical-align: top;"><span style="font-weight: bold;" onmouseover="showhint(this, 'Interbank payment price methods')">Interbank
Payment Price Methods</span><br>
        </td>
        <td style="vertical-align: top;">
        <select name="stockprice">
        <option value="mc">Monte Carlo</option>
        <option value="capm">CAPM</option>
        <option></option>

        </select>
        </td>
      </tr>
      <tr>
      </tr>
      <tr>
        <td style="vertical-align: top;">&nbsp;<br>
        </td>
        <td style="vertical-align: top;">&nbsp;<br>
        </td>
        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Stock exposures')">Stock
(%):<br>S&amp;P/HSI/Shanghai/Nikkie 225 Index/FTSE Index/MSCI Emerging Market Index </td>
        <td style="vertical-align: top; font-weight: bold;"><input id="stocksp" name="stocksp" size="5" value="16.67">%<input id="stockhsi" name="stockhsi" size="5" value="16.67">%<input id="stocksh" name="stocksh" size="5" value="16.67">%<input id="stocknikkie" name="stocknikkie" size="5" value="16.67">%<input id="stockftse" name="stockftse" size="5" value="16.67">%<input id="stockmsci" name="stockmsci" size="5" value="16.67">%</td>

        <td style="vertical-align: top; font-weight: bold;" onmouseover="showhint(this, 'Stock price methods')">Stock
Price Prediction
Methods</td>
        <td style="vertical-align: top;">
        <select name="stockprice">
        <option value="mc">Monte Carlo</option>
        <option value="capm">CAPM</option>
        <option></option>
        </select>

        </td>
      </tr>
      <tr>
        <td style="vertical-align: top;">&nbsp;<br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><a href="javascript:openwindowupload();" target="_blank"><span style="font-weight: bold;" onmouseover="showhint(this, 'Data sources, database or file system')"></span></a>Data
Source </td>
        <td style="vertical-align: top;">
        <select name="datasource">
        <option>Database</option>
        <option>File System</option>
        <option></option>
        </select>
        </td>
      </tr>
      <tr>
        <td style="vertical-align: top;">&nbsp;<br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top; font-weight: bold;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><a href="javascript:openwindowupload();" target="_blank"><span style="font-weight: bold;" onmouseover="showhint(this, 'Click this to upload file from local computer')">Data
Upload</span></a>&nbsp;</td>
        <td style="vertical-align: top;"><br>
        </td>
      </tr>
      <tr>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><span style="font-weight: bold;" onmouseover="showhint(this, 'Output')">Output</span></td>
        <td style="vertical-align: top;">
        <table style="text-align: left; width: 100%;" border="1" cellpadding="2" cellspacing="2">
          <tbody>
            <tr>
              <td style="vertical-align: top;"><input name="totalsecurities" value="ts" checked="checked" type="checkbox">Total
Securities<br>
              <input name="cpv" checked="checked" type="checkbox">Clearing
Payment Value</td>
            </tr>
          </tbody>
        </table>
        </td>
      </tr>
      <tr>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
        <td style="vertical-align: top;"> <button name="reset" type="reset">Reset</button> </td>
        <td style="vertical-align: top;"> <button value="Submit" type="submit" name="submit">Submit</button> <br>
        </td>
        <td style="vertical-align: top;"><input name="simutype" value="3" type="hidden"><br>
        </td>
        <td style="vertical-align: top;"><br>
        </td>
      </tr>
    </tbody>
  </table>
</form>

<br>

<a href="usersmanual.pdf">User Manual Download</a><big><span style="font-weight: bold;"><br>
</span></big>This simulation funciton aims to simulate all three major types
of bank risks (market risk, credit risk and operational risk) in an
integrated environment.<span style="font-weight: bold;"></span><br>
<big><span style="font-weight: bold;">
Step 1: </span>Basic
configuration on target bank and country/area.In this section, the user
can set up basic parameters of the environment, such as target bank and
country/area.<span style="font-weight: bold;"><br>Bank</span>: The target bank in this simulation.<br>
<span style="font-weight: bold;">Country/Area</span>: In which country/area the target bank will run in. Different country/area means </big><big>different<span style="font-weight: bold;"> </span></big><big>macroeconomic environment<span style="font-weight: bold;">.<br>
Step 2: </span>Exposures of different risk factors.<span style="font-weight: bold;"><br>
Foreign Exchange Exposure</span>: It's the amount of all foreign exchange exposures held by the target bank in the following 8 currencies.<br>
<span style="font-weight: bold;">Interest Rate Exposure</span>: It's the amount of all bonds in the following 8 currencies and 7 different maturities.<br>
<span style="font-weight: bold;">Stock Exposure</span>: It is the amount of all stocks in different stock markets.<br>
<span style="font-weight: bold;">Foreign Currency (%)</span>: The proportion of different currencies held by the target bank.<br>
<span style="font-weight: bold;">Interest Rates (%)</span>:</big><big> The proportion of different bonds in different currencies held by the target bank.</big><br>

<big><span style="font-weight: bold;">Stock (%)</span>: </big><big>The proportion of stocks in different stock markets held by the target bank.</big><br>

<big><span style="font-weight: bold;">Stock Price Prediction Methods</span>:<span style="font-weight: bold;"> </span>It is the method used to price the stocks, indexes in the following trading day. The user can choose from CAPM and Monte Carlo.<span style="font-weight: bold;"><br>
Step 3: </span></big>Parameters of this scenario (securities shock rate and
frequency, unexpected loss rate and frequency and interbank payment
price method), data sources and UI.<big><span style="font-weight: bold;"></span><br><span style="font-weight: bold;">
Stock Markets Shock Rate</span>:
In this market risk simulation scenario, once every serveral steps the
value of stock markets will be reduced in proportion. If shock occurs,
the value of stocks will be current value plus stock market shock rate.<br>
<span style="font-weight: bold;">Stock Markets Shock Frequency</span>: Here the user can set how often the stock markets shock occurs.<br>
</big><big><span style="font-weight: bold;">Unexpected Loss Rate</span>:
In this operational risk simulation scenario, once every serveral steps the
value of stock markets will be reduced in proportion. If loss occurs,
the value of stocks will be current value plus stock market shock rate.<br>
<span style="font-weight: bold;">Unexpected Loss Frequency</span>: Here the user can set how often the stock operational loss occurs.</big><big><span style="font-weight: bold;"></span></big><br>
<big><span style="font-weight: bold;">Interbank Payment Price Methods</span>:
There are interbank payments betweet banks. In this simulation the
interbank payments data are generated by pricing methods, such as CAPM
and Monte Carlo. </big><br>
<big>
<span style="font-weight: bold;">Data Source</span>: This simulation
depends on the environment economic data such as foreign exchange
rates, interest rates and stock markets indexes. Those data can be
loaded by databases or file system.<br>
<span style="font-weight: bold;">Data Upload</span>: If the user wants to upload the data from file system, this link will open a new windows for uploading.<br>
<span style="font-weight: bold;">Output</span></big>: <big>In this secions, the user can specify which risk indictor will show in the simulation user interface.</big><br>

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